"Liquidate from delisting"

When an asset is delisted (Futures and Options are delisted at expiry), a market order is placed and tagged as "Liquidate from delisting". We would need a concrete example to see why it stopped trading.

Hi, why is my position closed immediately with "liquidated from delisting"? I consolidated the futures data to daily bars and the holding period should be many days. Instead it closes the next day.

Hi John,

Futures contracts will be liquidated if they are about to expire/delist, so this will happen even if you enter the position the day before. For example, the trade logs show that the algorithm buys GC29Q17 on 8/29 at 00:00, which is the time that will be logged when placing a Market Order on daily data. However, the delisting warning also occurred on the 29th, which indicates that the contract will be delisted by the end of day, and so the position is liquidated automatically, and the order is filled at the first available time (this will be logged on a Monday if the warning happens and the liquidate order is filled on a Friday, so sometimes you see a 3-day lag in the logging statements). If you want to ensure your position is open for several days before liquidating, then the algorithm needs to buy contracts earlier than one day before their delisting. This would require adjusting the trading logic regarding quoteBar.Close < Line and quoteBar.Close > Line, otherwise the algorithm will likely continue to buy contracts immediately prior to their expiration.

I've attached a backtest where I add some additional logs which display all delisting warnings, which will give a warning the day before a delisting and one after it has occurred.

Hi Jack Simonson, yes, you are right, of course, I made a mistake in selecting the contracts.

Can you just tell me, this contract selection (future.SetFilter function) occurs only once at the algo Init (StartDate) or is the selection floating (SetFilter around the current backtested day) ? I don't understand the mechanism for the Futures.

My goal is to narrow the selection to just 1 most liquid contract per each future (front contract) and ideally roll the position over to the next front contract, if nearing delisting.

John,

The SetFilter function operates continuously, adding new contracts as they meet the filter criteria and removing contracts from the universe that have fallen outside of the filter (i.e. expiration). You can view a backtest I attach below and review the logs to see how this functions.